Optimal Auction Duration: A Price Formation Viewpoint
研究了金融市场中拍卖时长对清算价格与有效价格之间误差的影响，通过77只Euronext股票数据计算最优拍卖时长，发现连续限价订单簿通常非最优，最优时长约为2-10分钟。
Optimal Auction Duration in Financial Markets In the considered auction market, market makers fill the order book during a given time period while some other investors send market orders. The clearing price is set to maximize the exchanged volume at the clearing time according to the supply and demand of each market participant. The error made between this clearing price and the efficient price is derived as a function of the auction duration. We study the impact of the behavior of market takers on this error to minimize their transaction costs. We compute the optimal duration of the auctions for 77 stocks traded on Euronext and compare the quality of the price formation process under this optimal value to the case of a continuous limit order book. Continuous limit order books are usually found to be suboptimal. Order of magnitude of optimal auction durations is from 2–10 minutes.